Orateur
Prof.
Nizar Touzi
(Ecole Polythecnique)
Description
We consider a general formulation of the Principal-Agent problem with a lump-sum payment on a finite horizon. Our main result is a reduction of this problem to a standard stochastic control problem, so that the principal's problem is solved by the standard tools of control theory. Our proofs rely on the Backward Stochastic Differential Equations approach to non-Markovian stochastic control, and more specifically, on the recent extensions to the second order case.
Auteur principal
Prof.
Nizar Touzi
(Ecole Polythecnique)
